On some properties of universal sigma-finite measures associated with a remarkable class of submartingales

DOI10.2977/PRIMS/56zbMATH Open1266.60065arXiv0911.2571OpenAlexW2068171860MaRDI QIDQ653285FDOQ653285

A. Nikeghbali, Joseph Najnudel

Publication date: 9 January 2012

Published in: Publications of the Research Institute for Mathematical Sciences, Kyoto University (Search for Journal in Brave)

Abstract: In a previous work, we associated with any submartingale $X$ of class $(Sigma)$, defined on a filtered probability space $(Omega,mathcalF,mathbbP,(mathcal{F}_t{)}_{tgeq0})$ satisfying some technical conditions, a $sigma$-finite measure $mathcalQ$ on $(Omega,mathcalF)$, such that for all $tgeq0$, and for all events $Lambd{a}_{t}inmathcal{F}_t$: ${\displaystyle }$ mathcal{Q} [Lambda_t, gleq t] = mathbb{E}_{mathbb{P}} [mathds{1}_{Lambda_t} X_t],${\displaystyle }$ where $g$ is the last hitting time of zero by the process $X$. The measure $mathcalQ$, which was previously studied in particular cases related with Brownian penalisations and problems in mathematical finance, enjoys some remarkable properties which are detailed in this paper. Most of these properties are related to a certain class of nonnegative martingales, defined as the local densities (with respect to $mathbbP$) of the finite measures which are absolutely continuous with respect to $mathcalQ$. From the properties of the measure $mathcalQ$, we also deduce a universal class of penalisation results of the probability measure $mathbbP$ with a large class of functionals: the measure $mathcalQ$ appears to be the unifying object in these problems.

Full work available at URL: https://arxiv.org/abs/0911.2571

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zbMATH Keywords

martingalepenalizationsubmartingale

Mathematics Subject Classification ID

Sample path properties (60G17) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

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Cited In (12)

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• On the rareness of generalized sub- and supermartingales in the class of all uniformlyL₁bounded stochastic processes
• A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process
• An ideal class to construct solutions for skew Brownian motion equations
• A new construction of the \(\sigma \)-finite measures associated with submartingales of class \((\Sigma )\)
• A Remarkable σ-finite Measure Associated with Last Passage Times and Penalisation Problems
• Abstract, classic, and explicit turnpikes
• A reading guide for last passage times with financial applications in view
• On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales
• A class of remarkable submartingales
• Some contributions to the study of stochastic processes of the classes and
• On the study of processes of \(\sum (H)\) and \(\sum_{\mathrm{s}}(H)\) classes

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